def InstrumentsPositionBook(access_token, instrument, params): # check
'Get positionbook data for a specified Instrument.'
r = instruments.InstrumentsPositionBook(instrument=instrument,
params=params)
client = API(access_token=access_token)
client.request(r)
return readable_output(Munch(r.response)), Munch(r.response)
def positionbook_plot_data_request(
instrument: Union[str, None] = None, accountID: str = account
) -> Union[pd.DataFrame, bool]:
"""Request position book data for plotting.
Parameters
----------
instrument : Union[str, None]
The loaded currency pair, by default None
accountID : str, optional
Oanda account ID, by default cfg.OANDA_ACCOUNT
Returns
-------
Union[pd.DataFrame, bool]
Position book data or False
"""
if accountID == "REPLACE_ME":
print("Error: Oanda account credentials are required.")
return False
if instrument is None:
print("Error: An instrument should be loaded before running this command.")
return False
try:
request = instruments.InstrumentsPositionBook(instrument=instrument)
response = client.request(request)
df_positionbook_data = pd.DataFrame.from_dict(
response["positionBook"]["buckets"]
)
return df_positionbook_data
except V20Error as e:
d_error = json.loads(e.msg)
print(d_error["errorMessage"], "\n")
return False
def get_position_book(instrument, other_args):
parser = argparse.ArgumentParser(
add_help=False,
prog="positionbook",
description=
"Plot the positionbook for the instrument if Oanda provides one.",
)
ns_parser = parse_known_args_and_warn(parser, other_args)
if not ns_parser:
return
try:
instrument = format_instrument(instrument, "_")
request = instruments.InstrumentsPositionBook(instrument=instrument)
response = client.request(request)
df = pd.DataFrame.from_dict(response["positionBook"]["buckets"])
pd.set_option("display.max_rows", None)
df = df.take(range(219, 415, 1))
book_plot(df, instrument, "Position Book")
print("")
except V20Error as e:
# pylint: disable=W0123
d_error = eval(e.msg)
print(d_error["errorMessage"], "\n")
def add_positionbook_data(self):
r = instruments.InstrumentsPositionBook(instrument=self.symbol)
self.df_positionbook = pd.DataFrame(self.api.request(r))
path = '..\\..\\datastore\\_{0}\\{1}\\positionbook.pkl'.format(
self.account_type, self.symbol)
self.df_positionbook.to_pickle(path)
def test__instruments_positionbook(self, mock_get):
"""get the positionbook information for instruments."""
instrument = "EUR_USD"
tid = "_v3_instruments_instrument_positionbook"
resp, data, params = fetchTestData(responses, tid)
r = instruments.InstrumentsPositionBook(instrument=instrument,
params=params)
mock_get.register_uri('GET',
"{}/{}".format(api.api_url, r),
text=json.dumps(resp))
result = api.request(r)
self.assertTrue(result == resp)
def main():
config = Config()
start = "2021-10-06 00:00:00"
end = "2021-10-11 00:00:00"
target_dts = pd.date_range(start=start, end=end, freq="5T").values
for target_date in target_dts:
params = {"time": target_date.astype(str)[:-7] + "Z"}
print(target_date.astype(str)[:-7] + "Z")
r = instruments.InstrumentsPositionBook(instrument="USD_JPY",
params=params)
_ = config.api.request(r)
df = BookResponseFormatter().format(r.response)
df.to_csv(f"positionbooks/{target_date}.csv", index=False)
time.sleep(1)
async def __get_position_book(self, instrument: str, date_time: datetime,
vicinity: bool):
params = {"time": date_time.isoformat() + "Z"}
r = instruments.InstrumentsPositionBook(instrument, params)
try:
resp = self.__recursive_request(r)
except V20Error as err:
http_status_not_found = 404
if err.code == http_status_not_found:
return None
logging.error(err.msg)
return None
if vicinity:
range_n = 25
price = float(resp["positionBook"]["price"])
resp["positionBook"][
"buckets"] = self.__extract_book_buckets_vicinity_of_price(
resp["positionBook"]["buckets"], price, range_n)
return resp["positionBook"]
def getInstrumentsPositionBook(self, instrument, dt):
params = {
"time": dt.strftime(self.__DT_FMT),
}
# APIへ過去データをリクエスト
ic = instruments.InstrumentsPositionBook(instrument=instrument,
params=params)
self.__api.request(ic)
self.__data = []
for raw in ic.response[self.__PSI_BOOK][self.__BUCKETS]:
self.__data.append([
float(raw[self.__PRICE]),
float(raw[self.__LONG]),
float(raw[self.__SHORT])
])
# リストからデータフレームへ変換
df = pd.DataFrame(self.__data)
df.columns = [self.__PRICE, self.__LONG, self.__SHORT]
df = df.set_index(self.__PRICE).sort_index(ascending=False)
# date型を整形する
time = pd.to_datetime(
self.__changeDateTimeFmt(
ic.response[self.__PSI_BOOK][self.__TIME]))
cur_price = float(ic.response[self.__PSI_BOOK][self.__CUR_PRICE])
bucket_width = float(ic.response[self.__PSI_BOOK][self.__BUCKET_WIDTH])
print(df)
print(bucket_width)
print(time)
print(cur_price)
idx_th = bucket_width * self.__CUT_TH
self.__psi_df = df[(df.index > cur_price - idx_th)
& (df.index < cur_price + idx_th)]
self.__psi_curpri = cur_price
def get_position_book(pair, oanda_api=oanda_api, oanda_account=oanda_account):
client = oandapyV20.API(access_token=oanda_api)
params = {}
r = instruments.InstrumentsPositionBook(instrument=pair)
client.request(r)
return r.response
def instruments_position_book(self, instrument, params={}):
endpoint = instruments.InstrumentsPositionBook(instrument, params)
ob = self.send_request(endpoint)
return ob["positionBook"]["buckets"]